Ive been playing around with the reinvesting profits aspect of script writing and I have a few questions for anyone that can answer.

When I check the tutorials and manuals Im finding multiple different code for reinvesting profits, and when testing they all seem to achieve different results.

http://zorro-trader.com/manual/en/tutorial_kelly.htm


Equity for starters is not in Zorro's variables but the help says that Balance + TradeVal = Equity. Should that be used there instead? I have tried it and whenever I changed the 0.2 factor to another number for example 0.5 the result didn't change. Another idea I had was to try Profits or even WinTotal - LossTotal instead of Equity but Im sure they dont work correctly as the capital required always rises alot.

From WorkShop 6_2 script in Zorro.


This is the example from the actual script on Zorro minus the Algos just for being run on a single strategy.

http://forums.babypips.com/expert-adviso...y-design-3.html


And I found this example from Babypips, like all have very different effects on my strategy and in most cases makes the required capital rise. Any help in understanding reinvesting profits more throughly will be appreciated.

I too have had massive problems working out how any of this works. I still haven't fully and have resigned myself to just trading at 1 micro lot per trade and as the balance gets bigger I can slowly increase the lot size manually.

To further illustrate what I mean here are the results for a strategy I have written:









Hpoefully this should show clearer... because the way I read the manual and lessons regarding reinvesting profits was the whole point was to make more money from the same amount of starting capital. And in each of these examples on the same script the starting capital & profits changed dramatically.

I believe Equity is always zero in your Zorro version, that's why it is not documented. We update the online manual while we add features, and Equity was only implemented in the current Zorro that is not yet released. So use only the examples in your Zorro manual, not in the online version.

Balance is the total money in the account and (WinLong-LossLong) is the money earned by the strategy component. When testing a strategy with only 1 component, both are identical, but on a portfolio strategy they are different.

http://zorro-trader.com/manual/en/winloss.htm

Balance and Equity should both not be used in a strategy, as they reflect the situation of your account, not of your strategy. That was a mistake in some tutorials. Instead of Equity, use

var Gain = WinTotal - LossTotal + WinValTotal - LossValTotal;

That is the profit so far by all components of your strategy.

Ok thanks I'll take that into account.

But as I posted in my code with trading statistics above there are two other methods of reinvesting in the tutorials you posted (Code 2 & 3 from the original post) that should if I understand the lessons correctly the whole point of implementing reinvestment is to make more profit from the same amount of starting capital?

Edit: Now I look at Code 2 again I notice it does use Balance, though I pulled that code directly from Workshop 6_2. My question above should still apply to Code 3 from my original post though it does not and as you can see changes the required capital from 544 to 2751.

As explained in the manual, the performance parameters are for positive returns and constant margin only. The required capital can not be calculated when the capital is reinvested. You must determine it _before_ reinvesting the profits.

It is theoretically possible to calculate the required capital in a reinvesting strategy by applying weight factors to the equity curve. But that is nontrivial and reserved for a future Zorro version.